More info

The QuantLib project is aimed at providing a comprehensive
software framework for quantitative finance. QuantLib is a free/open-source library for modeling,
trading, and risk management in real-life.

QuantLib is written in
C++ with a clean object model, and is then exported to different languages
such as C#, Objective Caml, Java, Perl, Python, GNU R, Ruby, and Scheme.
An AAD-enabled
version is also available.
The reposit project
facilitates deployment of object libraries to end user platforms and
is used to generate QuantLibXL, an Excel addin for
QuantLib, and QuantLibAddin, QuantLib addins for
other platforms such as LibreOffice Calc. See
the extensions page for details on
bindings and ports to other languages.

Appreciated by quantitative analysts and developers, it is intended
for academics and practitioners alike, eventually promoting a stronger
interaction between them. QuantLib offers tools that are useful both for
practical implementation and for advanced modeling, with features such
as market conventions, yield curve models, solvers, PDEs, Monte Carlo
(low-discrepancy included), exotic options, VAR, and so on.

Finance is an area where well-written open-source projects could
make a tremendous difference:

any financial institution needs a solid, time-effective,
operative implementation of cutting edge pricing models and hedging
tools. However, to get there, one is currently forced to re-invent
the wheel every time. Even standard decade-old models, such as
Black-Scholes, still lack a public robust implementation. As a
consequences many good quants are wasting their time writing C++
classes which have been already written thousands of times.

By designing and building these tools in the open, QuantLib
will both encourage peer review of the tools themselves, and
demonstrate how this ought to be done for scientific and commercial
software. Dan Gezelter's talk at the
first Open Source/Open Science conference discussed how the
scientific tradition of peer review fits well with the philosophy
of the Open Source movement. Open standards are the only fair way
for science and technology to evolve.

The library could be exploited across different research and
regulatory institutions, banks, software companies, and so on.
Being a free/open-source project, quants contributing to the
library would not need to start from scratch every time.

Students could master a library that is actually used in the
real world and contribute to it in a meaningful way. This would
potentially place them in a privileged position on the job
market.

Researchers would have a framework at hand, which vastly
reduces the amount of low-level work necessary to build models, so
to be able to focus on more complex and interesting problems.

Financial firms could exploit QuantLib as base code and/or
benchmark, while being able to engage in creating more innovative
solutions that would make them more competitive on the market.

Regulatory institutions may have a tool for standard pricing
and risk management practices.

The QuantLib license is a modified
BSD license suitable for use in both free software and proprietary
applications, imposing no constraints at all on the use of the
library.

A few companies have committed significant resources to the
development of this library; notably StatPro, a leading international
risk-management provider, where the QuantLib
project was born.

Get QuantLib

Head to our download page to get the latest official
release, or check out the latest development version from our git repository.
QuantLib is also available in other
languages.